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Class A Asset Backed Floating Rate Notes of 2018/2024

VCL Multi-Compartment S.A., Compartment VCL 26

Rating History

Rating Watch Outlook Decision Date Action Validity Date Maximum Validity
AAAsf Outlook STA 23.04.2020 28.04.2020 21.02.2024
AAAsf Outlook STA 23.04.2019 25.04.2019 21.02.2024
AAAsf Outlook STA 22.11.2018 23.11.2018 21.02.2024
AAAsf Outlook STA 10.08.2018 14.08.2018 21.02.2024
AAAsf Watch UNW 26.07.2018 02.08.2018 21.02.2024
AAAsf Outlook STA 23.04.2018 26.04.2018 21.02.2024

News

  • 28.04.2020
    Further details regarding the regulatory requirements according to ESMA (European Securities and Markets Authority) Guidelines 33-9-320 can be found in the document attached below.
  • 25.04.2019
    Creditreform Rating (CRA) has confirmed the ratings of the Class A Notes and upgraded the ratings of the Class B Notes of VCL Multi-Compartment S.A., acting for and on behalf of its Compartments 26 (VCL 26) as follows: EUR Floating Rate Asset Backed Class A notes with a current rating of AAAsf / stable (current outstanding amount: EUR 815,412,150.00) EUR Floating Rate Asset Backed Class B notes with a current rating of AAsf (from AA-sf) / stable (current outstanding amount: EUR 33,500,000.00) The transaction is a securitisation of German auto lease receivables, originated by Volkswagen Leasing GmbH (VWL). Closing of VCL 26 took place in April 2018. As of April 2019 the outstanding discounted balance amounts to EUR 910.55m with a share of 0.44% of the outstanding discounted balance being delinquent two months or more. The cumulative net loss ratio is 0.038% of the initial discounted receivables balance. Currently, the Class A and B Notes represent 89.55% and 3.68% of the outstanding discounted receivables balance, respectively. Credit enhancement to the notes is provided by a Subordinated Loan (4.94%), overcollateralization (1.83%), and a cash reserve amounting to 1.76% of the outstanding discounted receivables balance. Since the closing the credit enhancement level of the Class A Notes increased from 7.20% to 12.21%, while the credit enhancement level of the Class B Notes increased from 5.10% to 8.53%. The rating action has taken into account the increased credit enhancement levels for the Class A and B Notes and the overall portfolio performances as of the end of March 2019, including a low level of the cumulative net loss ratio.
  • 23.11.2018
    Creditreform Rating (CRA) has confirmed the ratings of the Class A Notes and upgraded the ratings of the Class B Notes of VCL Multi-Compartment S.A., acting for and on behalf of its Compartment 26 (VCL 26) as follows: EUR Floating Rate Asset Backed Class A notes with a current rating of AAAsf / stable (current outstanding amount: EUR 1,095,908,700.00) EUR Floating Rate Asset Backed Class B notes with a current rating of AA-sf (from A+sf) / stable (current outstanding amount: EUR 33,500,000.00) The transaction is a securitisation of German auto lease receivables, originated by Volkswagen Leasing GmbH (VWL). Closing of VCL 26 took place in April 2018. As of November 2018 the outstanding discounted balance amounts to EUR 1.19bn with a share of 0.28% of the outstanding discounted balance being delinquent two months or more. The cumulative net loss ratio is 0.01% of the initial discounted receivables balance. Currently, the Class A and B Notes represent 91.96% and 2.81% of the outstanding discounted receivables balance, respectively. Credit enhancement to the notes is provided by a Subordinated Loan (3.77%), overcollateralization (1.46%), and a cash reserve amounting to 1.34% of the outstanding discounted receivables balance. Since the closing the credit enhancement level of the Class A Notes increased from 7.20% to 9.38%, while the credit enhancement level of the Class B Notes increased from 5.10% to 6.57%. The rating actions have taken into account the increased credit enhancement levels for the Class A and B Notes and the overall portfolio performance as of the end of October 2018, including a low level of the cumulative net loss ratio.
  • 14.08.2018
    Creditreform Rating (CRA) has reviewed the ratings of the Class A and B Notes of VCL Multi-Compartment S.A., acting for and on behalf of its Compartment 26 (VCL 26) due to changes in the methodologies “Rating Methodology Auto ABS Securitizations” and “Technical Documentation Portfolio Loss Distributions” and in accordance with regulatory requirements. CRA removes the (watch) status confirms the ratings of the Class A Notes, while raising the outlook of the Class B Notes to positive, as follows: EUR Floating Rate Asset Backed Class A notes with a current rating of AAAsf / stable (current outstanding amount: EUR 1,327,080,450) EUR Floating Rate Asset Backed Class B notes with a current rating of A+sf / positive (current outstanding amount: EUR 33,500,000) The transaction is a securitisation of German auto lease receivables with closing in April 2018, originated by Volkswagen Leasing GmbH (VWL). As of July 2018 the outstanding discounted balance amounts to EUR 1.4bn with an share of 0.12% of the outstanding discounted balance being delinquent over two months. Currently, the Class A and B Notes represent 93.27% and 2.35% of the outstanding discounted receivables balance, respectively. Credit enhancement to the notes is provided by a Subordinated Loan (3.23%), overcollateralization (1.15%), and a cash reserve of currently 1.20% of the outstanding discounted receivables balance. Since the closing the credit enhancement level of the Class A Notes increased from 7.20% to 7.93%, while the credit enhancement level of the Class B Notes increased from 5.10% to 5.58%. The rating actions take into account the changes in the methodologies “Rating Methodology Auto ABS Securitizations” and “Technical Documentation Portfolio Loss Distributions” as of July 30 2018, the increased credit enhancement levels for the Class A and B Notes and the overall portfolio performance as of the end of July 2018, including a low level of the cumulative net loss ratio.
  • 02.08.2018
    Creditreform Rating has set the ratings of the Class A and Class B Notes of VCL Multi-Compartment S.A., acting for and on behalf of its Compartment 26 (VCL 26), to (watch) and is going to review the ratings due to a methodology change and in accordance with regulatory requirements. The review is open-ended. EUR Floating Rate Asset Backed notes: Class A AAAsf (watch) Class B A+sf (watch)
  • 26.04.2018
    Creditreform Rating (CRA) has assigned ratings to the Class A and Class B Notes of VCL Multi-Compartment S.A., acting for and on behalf of its Compartment 26 (VCL 26), as follows: EUR Floating Rate Asset Backed notes: Class Amount Rating /Outlook Class A 1,500,000,000 AAAsf / stable Class B 33,500,000 A+sf / stable The transaction is a securitisation of German auto lease receivables, originated by Volkswagen Leasing GmbH (VWL). To size the credit risk of the portfolio and derive base case assumptions about loss rates and expected recovery performance, Creditreform Rating used data provided by VWL as well as internal data bases. VCL 26 is a static pool and securitises only the finance portion of the leases; residual values are not securitized by the Issuer. A combination of subordinated loan, overcollateralization and a cash reserve will provide credit enhancement to the rated Class A Notes (7.20%) and Class B Notes (5.10%). VWL will credit to the Cash Collateral Account certain amounts which will be available to mitigate commingling risks, trade tax and VAT tax risks, and cover the Issuer´s exposure to VWL. Downgrade collateral and replacement provisions mitigate counterparty risk exposures with respect to the Swap counterparty and Account Bank. Risks related to the Issuer are limited, the compartment structure being ring-fenced and with limited recourse to other creditors of the Issuer. In order to assess the portfolio´s credit risk and to estimate base case assumptions regarding loss rates and expected recovery performance, Creditreform Rating used data provided by VWL as well as internal data-bases. Following the analysis of historical data, CRA set the base case gross loss rate at 2.29% and the base case recovery rate at 65%. Furthermore, the CRA Portfolio and Benchmark Analysis showed a similar level of portfolio credit risk. CRA selects default multiples at x4.56 (AAAsf) and x3.58 (A+sf). Moreover, CRA set recovery haircuts at 44.63% (AAAsf) and 35.76% (A+sf), taking into account transaction-specific features such as observed volatility and established recovery procedures, as well as potential market value risks caused by the manipulation of EA189 diesel emissions. This resulted in total expected net losses of 6.67% (AAAsf) and 4.76% (A+sf). These scenario-specific assumptions were tested in CRA´s proprietary cash flow model, which was tailored to reflect the structure of VCL 26 and to assess the issuer´s ability to service its debt in a full and timely manner.